Mutual information model selection algorithm for time series

DOI10.1080/02664763.2019.1707516MaRDI QIDQ5037010zbMATH OpenOpenAlexWikidataFDO

Authors Elif Akça, Ceylan Yozgatligil

Publication date 25 February 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2019.1707516

zbMATH Keywords

mutual informationorder selectionBox-Jenkins models

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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• scientific article; zbMATH DE number 3864336
• MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE

Cites work

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• MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE
• Model identification of ARIMA family using genetic algorithms
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• Recursive estimation of mixed autoregressive-moving average order
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• Time series analysis. Univariate and multivariate methods.
• Use of canonical analysis in time series model identification

Cited in

(4)

• scientific article; zbMATH DE number 2205593 (Why is no real title available?)
• Model selection for dynamical systems via sparse regression and information criteria
• Time series model selection and forecasting via optimal penalty estimation
• Model term selection for spatio-temporal system identification using mutual information

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